Mr. Rodman has denied any link between the timing of his visit and the U.S. State Department’s recent failure to bring back Mr. Bae, a tour operator and Christian missionary who has been detained by North Korea for nearly 10 months.

But Mr. Rodman, whose wormlike ability to scoop up rebounds earned him his nickname, has been vocal in the past about using whatever leverage he has with his “friend” Kim Jong Un, the North Korean leader, to try to free Mr. Bae. (One example can be found on Twitter, though he has distanced himself from that particular tweet.)

As recently as last Thursday, Mr. Rodman was going on camera to tell whomever would listen that he’s hoping to rescue Mr. Bae, perhaps as part of his long-shot bid to win the Nobel Peace Prize. (See Friday’s video here, and fast-forward to 14:50 for the bit about North Korea.)

So perhaps it’s too early to rule out a diplomatic success here. In that Thursday interview with the Huffington Post, in fact, Mr. Rodman promised to gently bring up Mr. Bae’s case with Mr. Kim, saying he would “try to squeeze him into our conversation,” between talking about hoops and downing shots of Mr. Rodman’s new vodka.

One thing is for sure, according to Mr. Rodman: if he were to rescue Mr. Bae, it would make him “the most powerful guy in the world.”

“If I even went over there, if the Marshal [Kim Jong Un] were to say, ‘Dennis, do you want me to let him loose?’ and then if I actually got him loose—I’m just saying this out the blue—I’d be the most powerful guy in the world,” he said.

Mr. Rodman’s trip will last for five days, so brace yourself for more bizarre photo ops from Pyongyang and—who knows—perhaps a free Kenneth Bae. Stranger things have happened.

In a one-sentence statement late Tuesday night Pyongyang time, North Korea’s official Korean Central News Agency confirmed that Mr. Rodman and his delegation had arrived in Pyongyang.